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A Stock Is Trading at $132 30.53- 30.53 the Passage of One Trading Day

Question 29

Multiple Choice

A stock is trading at $132. A one-month call with a strike of $125 costs $9.773 and has a theta of 30.53- 30.53 . The passage of one trading day ( 0.004\approx 0.004 years) will cause the call value to, approximately,


A) Rise by 0.040.04 .
B) Fall by 0.0030.003
C) Fall by 0.1220.122 .
D) Fall by 0.040.04

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